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Class RecoveryRateQuote

Stores a recovery rate market quote and the associated seniority.

Hierarchy

  • Quote
    • RecoveryRateQuote

Index

Constructors

Properties

Accessors

Methods

Constructors

constructor

Properties

_isDisposed

_isDisposed: boolean = false

_observers

_observers: Set<Observer>

Private _recoveryRate

_recoveryRate: Real

Private _seniority

_seniority: Seniority

Static IsdaConvRecoveries

IsdaConvRecoveries: Real[] = [0.65, // SECDOM0.4, // SNRFOR0.2, // SUBLT20.2, // JRSUBUT20.15 // PREFT1]

Accessors

isDisposed

  • get isDisposed(): boolean

Methods

dispose

  • dispose(): void

  • Returns void

isValid

  • isValid(): boolean

  • Returns boolean

notifyObservers

  • notifyObservers(): void

  • This method should be called at the end of non-const methods or when the programmer desires to notify any changes.

    Returns void

registerObserver

reset

  • reset(): void

  • Returns void

seniority

  • Returns Seniority

setValue

  • Parameters

    • Default value value: Real = QL_NULL_REAL

    Returns Real

unregisterObserver

value

  • Returns Real

Static makeIsdaMap

  • Parameters

    • arrayIsdaRR: Real[]

    Returns Map<Seniority, Real>